Quantitative Model Risk Analyst
- Birmingham, England, United Kingdom
- Permanent, Full time
- 15 Dec 17 2017-12-15
See job description for details
We are looking for a Quantitative Model Risk Analyst to join us in Edinburgh or Birmingham
- You'll join the Model Risk Management team, which works on independent review and validation of models across the entire bank
- You'll provide independent challenge and review of pricing models across all business areas of RBS, and your work will cover a selection of models relevant to interest-rate, foreign exchange and credit products
- Your work will cover a selection of models relevant to traded credit, interest-rate and foreign exchange products, and you'll use your expertise in quantitative modelling techniques gained in a business or applied academic research context
- The Model Risk Management team has responsibility for review and challenge of a wide variety of quantitative models across the bank, including those for algorithmic trading, market risk, counterparty risk and regulatory capital and margin.
- There is a high degree of collaboration across projects, and you'll have the opportunity to get involved in a variety of model review initiatives
- You can also take advantage of our flexible working options in this role
What you'll do
You'll review and validate assigned models, primarily those for valuation of financial instruments, but also in other areas as required, and make sure they're fit for purpose. You'll use your expertise in quantitative modelling techniques gained in a business or applied academic research context.
Models can impact customer experience, support growth and assist in maintaining the strength and sustainability of the bank. These models are used for customer, business and strategic decision making, as well as disclosures, and regulatory calculations or returns.
In this role you will:
- Evaluate whether models are appropriate for their intended purpose, and ensure that significant model risks are identified, quantified where possible, and communicated to senior management and model end-users
- Advise on how model risk can be reduced or mitigated
- Challenge existing models and their uses where necessary, developing alternative models as appropriate, basing your conclusions on rigorous quantitative analysis
- Develop and extend your knowledge to include models for market risk, counterparty risk, regulatory capital and margin, and electronic and algorithmic trading
- Create and maintain strong relationships with key internal stakeholders, as well as regulators and external and Internal Audit
- Communicate the findings of your model reviews, in formal written reports and verbally, in a way that is suitable for a variety of audiences, which will include senior management, regulators, model developers and end-users
- Participate in training programmes through internal seminars, workshops and online courses
The skills you'll need
We're looking for someone with a postgraduate degree (to at least Master's level) in a highly-quantitative subject, such as Mathematics, Physics, Statistics or Quantitative Finance. You'll have a strong combination of problem-solving and analytical skills, and the ability to simplify complex concepts to make sure senior management understand key model-risk-related issues.
You'll also demonstrate:
- Expertise in complex quantitative modelling and analysis, gained through previous business experience in banking or other financial institutions, or through applied academic research
- Familiarity with financial markets and financial products
- Excellent written and verbal communication skills
- The ability to work on your own initiative when required, to deliver multiple projects to demanding deadlines
- Programming skills in C++ or a similar language
Experience with Credit Derivative models and business knowledge of traded Credit products will be a significant advantage.
How we'll reward you
In return, we offer a competitive salary plus 30% cash and benefit funding programme that can be tailored to suit your individual needs. In addition, we provide a wide selection of exclusive lifestyle offers, development and learning programmes, services and support designed to help you manage and balance your work/life priorities.
Visit our reward and benefits page for more information on the benefit packages we offer.
At RBS, we want everyone to feel welcome, regardless of your background or needs. If you need adjustments making to your working environment, we'll do everything we can to support you. As part of this commitment, we offer flexible working options for some of our roles - find out more .
As a Financial Services organisation we comply with and support the requirements set by our Regulator, the Financial Conduct Authority (FCA), which are designed to protect our customers. This role falls under Conduct Rules of the Individual Accountability Regime (IAR) and is subject to pre-employment screening. This means if your application is successful, you'll need to satisfy some important background checks before you can start working with us. These will include a full credit check, a criminal record check, residency and right to work checks.